Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.1418 |
| Annualized Std Dev | 0.2499 |
| Annualized Sharpe (Rf=0%) | 0.5675 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3740.0000 |
| NAs | 1.0000 |
| Minimum | -0.1254 |
| Quartile 1 | -0.0066 |
| Median | 0.0012 |
| Arithmetic Mean | 0.0007 |
| Geometric Mean | 0.0005 |
| Quartile 3 | 0.0086 |
| Maximum | 0.1389 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0012 |
| Variance | 0.0002 |
| Stdev | 0.0157 |
| Skewness | -0.1820 |
| Kurtosis | 6.2802 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0107 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0158 |
| Downside Deviation (Rf=0%) | 0.0111 |
| Downside Deviation (0%) | 0.0111 |
| Maximum Drawdown | 0.5886 |
| Historical VaR (95%) | -0.0253 |
| Historical ES (95%) | -0.0374 |
| Modified VaR (95%) | -0.0240 |
| Modified ES (95%) | -0.0414 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-19 | 2008-11-20 | 2010-10-27 | -0.5886 | 760 | 275 | 485 |
| 2020-02-20 | 2020-03-16 | 2020-07-02 | -0.3230 | 94 | 18 | 76 |
| 2011-02-22 | 2011-08-19 | 2012-03-15 | -0.2663 | 269 | 126 | 143 |
| 2018-03-13 | 2018-12-24 | 2019-03-21 | -0.2332 | 258 | 199 | 59 |
| 2006-05-10 | 2006-07-21 | 2006-11-08 | -0.2129 | 121 | 48 | 73 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | -1.3 | 2.8 | 1.3 | -1.6 | -0.2 | -0.1 | -1.5 | -1.4 | -0.4 | -2.4 |
| 2007 | 0.4 | -0.7 | 0.2 | -0.2 | 0.4 | 0.2 | 0.3 | 1.9 | 1.2 | -1.5 | -1.6 | -1 | -0.4 |
| 2008 | 3.2 | -3.2 | 4.5 | 3.8 | 1.7 | 0.5 | -1 | -2.8 | 0 | 0.8 | -8.1 | 2 | 0.8 |
| 2009 | -3.4 | -0.6 | 1.1 | 0.5 | 4 | 1 | 0.1 | -2.1 | -2.8 | -2.9 | 1.8 | -1 | -4.5 |
| 2010 | 2.1 | 2.1 | -0.2 | -2.7 | -2 | 0.1 | -0.1 | 3 | 0 | -0.2 | 2.8 | -0.4 | 4.5 |
| 2011 | 2.4 | -2 | -0.2 | -0.1 | -2.7 | 1.7 | -0.3 | -1.4 | -3 | -2.9 | 0.5 | -0.2 | -8.1 |
| 2012 | 2.3 | 0.5 | 0.1 | 0.7 | -3.2 | 4.2 | -0.2 | 0.9 | -0.2 | 2.9 | -0.4 | 1.7 | 9.6 |
| 2013 | 1.2 | 0.3 | -1.1 | -0.9 | -0.9 | 0.1 | 1.5 | -0.6 | 0.8 | 0 | 0.3 | 0.5 | 1.1 |
| 2014 | -0.3 | -0.9 | 1.7 | 0.2 | -0.1 | 1.2 | -0.3 | 0.6 | -2.1 | 2.1 | -1.2 | -0.8 | -0.1 |
| 2015 | -1.9 | -0.2 | -0.6 | 1.6 | 0.3 | 0.4 | -0.6 | -3 | -0.7 | 0.7 | 1.1 | -1.4 | -4.4 |
| 2016 | 0.6 | 3 | 0.4 | -1.9 | 0 | -0.6 | 0 | 0.7 | 0.7 | -1.2 | -3.7 | -1.1 | -3.2 |
| 2017 | 0.4 | 1.5 | -0.2 | 0.9 | 0.2 | -0.4 | 0.4 | 0.2 | 1 | -0.7 | -0.6 | -0.8 | 1.9 |
| 2018 | -0.7 | -1.4 | 1.7 | 1.1 | 1.8 | 0.5 | -0.4 | 0.2 | 0 | 3 | 1.6 | 0.8 | 8.4 |
| 2019 | 1.1 | 0.8 | 2.3 | -0.9 | -1.5 | 2.3 | -0.9 | 0.3 | -1.1 | 1.8 | -0.7 | 0.3 | 3.7 |
| 2020 | -2.7 | 1.1 | -5 | -4.4 | -0.2 | -0.2 | 0.5 | 2.2 | 1.9 | -1.5 | 1.1 | 0 | -7.4 |
| 2021 | 3.2 | 3.5 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 7.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-04-25 19.6 SPY 130. -0.0041 -0.0025 0.00120 0.0302 0.121 0.427 0.0514 GLD 62.8 0.0183 0.015
2 2006-04-26 19.7 SPY 130. 0.0002 -0.0042 0.00290 0.0295 0.132 0.445 0.0378 GLD 63.6 0.0139 -0.0016
3 2006-04-27 19.9 SPY 131. 0.00480 -0.0008 0.014 0.0288 0.133 0.428 0.0524 GLD 63.0 -0.0108 0.0328
4 2006-04-28 19.7 SPY 131. 0.0034 0.00240 0.0111 0.0228 0.151 0.432 0.0755 GLD 65.1 0.0338 0.0299
5 2006-05-01 19.5 SPY 130. -0.0081 -0.0039 0.0046 0.0153 0.127 0.419 0.0725 GLD 65.2 0.0011 0.0569
6 2006-05-03 19.7 SPY 131. -0.0037 0.0038 0.0089 0.0195 0.123 0.404 0.058 GLD 66.5 -0.0014 0.0441
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
